基于变结构Copula函数的上证综指波动溢出效应研究

【作者】 高双双；

【导师】 刘喜华；

【作者基本信息】 青岛大学 ， 金融学， 2010， 硕士

【摘要】 波动溢出效应是指一个金融市场的波动不仅受到本身历史波动程度的影响,而且还可能会受到其他市场波动程度的制约。金融危机的发生,破坏了市场之间的相关关系,并使市场之间的相关性显著增强,即可认为市场之间存在波动溢出效应。金融波动和危机的频繁发生,使风险管理和多变量金融时间序列分析成为国内外关注的焦点,但基于线性理论的新古典经济学在解释一些新的经济现象时,往往显得不是很有效,原有的多变量金融模型已不能完全满足发展的需要。因此Copula函数在金融领域的应用为波动溢出效应的分析研究提供了一个有效的工具。基于此,本文首先对各股市收益率序列进行边缘分布的估计,然后分别从静态和动态角度对各股指与上证综指的相关关系进行分析,并运用Bayes时序诊断法和Z检验方法诊断出各序列的变结构点,最后通过构建分阶段Copula函数和相关参数的Z检验来判断各股市对上海股市是否存在波动溢出效应。研究结果表明,各股指与上证综指的相关关系具有地域性,深圳成指与上证综指的相关性最强,但各股指波动趋势总体上看是一致的,另外,在2008年次贷危机发生并对世界各国产生广泛影响期间,各国股市对上海股票市场都有较强的波动溢出效应,并且这种效应非常显著。这表明,在金融危机发生时,世界各主要股票市场的股指对上证综指存在显著的波动溢出效应。更多还原

【Abstract】 Volatility spillover effect means that the volatility of a financial market is influenced not only by the historical volatility of its own, but also by the volatility of other markets. When the financial crisis occur, the relationship between markets is destroyed, the correlation between markets increased significantly, and we can think that there is the volatility spillover effect between markets. Financial volatility and frequent crises make risk management and multivariate financial time series analysis to be the focus of attention at home and abroad. But the neo-classical economics based on the linear theory often seems not very effective when explains the new economic phenomenon, and the original multi-variable financial model can not fully meet the financial needs of the development. Therefore the application of Copula function in the financial sector provides an effective tool for the analysis of volatility spillovers.Based on this, we first estimated the marginal distribution of the the stock market return rate sequence, and then analyzed the correlation between other stock markets and the Shanghai stock market separately from the static and dynamic perspectives, and diagnosed the variable structure points by the application of Bayes sequential diagnosis method and Z method, and finally determined whether volatility spillover effect of the others stock markets on the Shanghai stock market exist through building phased Copula functions and the Z test of relevant parameters. The results show that the correlation between the indexes and the Shanghai Composite Index is regional, and the relationship between Shenzhen Component Index and Shanghai Composite Index are the strongest, but the whole trend of the indexes volatility is the same, and the other, when subprime motagage crisis occurred and produced the worldwide impact in the 2008, States stock markets all had strong volatility spillover effects on the Shanghai stock market, and this effect is very significant. This indicates that the world’s major stock market indexes have significant volatility spillover effects on the Shanghai Composite Index when the financial crisis occur.更多还原